We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
Miccichè, S., Lillo, F., Bonanno, G., Mantegna, R. (2004). Univariate and multivariate statistical aspects of equity volatility. In The Application of Econophysics (pp.30-42). Takayasu, H [10.1007/978-4-431-53947-6_4].
Univariate and multivariate statistical aspects of equity volatility
MICCICHE', Salvatore;LILLO, Fabrizio;BONANNO, Giovanni;MANTEGNA, Rosario Nunzio
2004-01-01
Abstract
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
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